71st International Atlantic Economic Conference

March 16 - 19, 2011 | Athens, Greece

Investment Funds Operating in Poland: Efficiency, Evaluation, and Ranking

Friday, 18 March 2011: 10:20
Krzysztof Kompa, Ph.D. , Department of Informatics, Warsaw University of Life Sciences, Warszawa, Poland
Dorota Witkowska, Ph.D. , Dept. of Econometrics & Statistics, Warsaw University of Life Sciences, Warszawa, Poland
The first investment fund in Poland was founded in 1992, and the significant development has been observed since that time. The aim of the research is evaluation of the efficiency of 14 selected open-end investment funds that have been operating at the Polish market. Analysis is based on daily data and covers the period from November, 2, 2006 to November, 2, 2008. In the research we apply Sharpe, Treynor and Jensen ratios as well as we investigate selectivity and market timing employing Treynor- Mauzy and Henriksson-Merton models. The risk-free instrument is represented by 2-year treasury bonds and the market index is represented by the WIG (Warsaw Stock Exchange Index).